Asymptotics of Ruin Probabilities for Perturbed Discrete Time Risk Processes

• We consider the problem of approximating the infinite time horizon ruin probabilities for discrete time risk processes. The approach is based on asymptotic results for non-linearly perturbed discrete time renewal equations. Under some moment conditions on the claim distributions, the approximations take the form of exponential asymptotic expansions with respect to the perturbation parameter. We show explicitly how the coefficients of these expansions can be computed as functions of the coefficients of the expansions of local characteristics for perturbed risk processes.

Ämnesord

NATURVETENSKAP  -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)

NATURAL SCIENCES  -- Mathematics -- Probability Theory and Statistics (hsv//eng)

Nyckelord

matematisk statistik

Mathematical Statistics

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